Initial commit: Oil Trading Bot (MT5, WTI)
Headless FastAPI-Backend (server.py + core/engine.py) mit Mobile-PWA (web/), Strategie-/Backtest-Suite und Doku. Secrets, DB, Logs und Laufzeit-State sind via .gitignore ausgeschlossen; Config-Vorlage: oil_widget_config.ini.example. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Axel Hocks
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#!/usr/bin/env python3
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"""Marktstruktur als SIGNAL — Backtest (2026-07-20, User-Idee „Pro-Chart-Setup").
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Testet die handelbaren Varianten der `structure.py`-Anzeige (nutzt DEREN Logik,
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kausal Bar für Bar), damit Signal == Anzeige:
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A) Kanal-Pullback (der orange Pfeil): im Aufwärts-Regressionskanal Kurs zurück
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ans UNTERE Kanaldrittel (pos ≤ X) → LONG; Abwärtskanal + pos ≥ 1−X → SHORT.
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Frischer Eintritt in die Zone (pos kreuzt X), one-shot.
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A2) wie A, aber ZUSÄTZLICH Swing-Struktur-Filter (Trend = HH/HL bzw. LH/LL).
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B) BOS-Continuation: frischer Break of Structure in Kanalrichtung → Entry.
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Sequentielle 1-Positions-Sim, Live-Exit (SL 2,0×ATR + Trailing 1,5 + BE 1,3),
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Echtkosten = Bar-Spread/ATR. M30. 2 Halbjahre. Maßstab: Squeeze ØR +0,14…+0,23 &
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PF>1 in BEIDEN Hälften. Verdict-Regel: Einbau nur bei Robustheit über beide Hälften
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UND Parameter.
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"""
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import sys
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import MetaTrader5 as mt5
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from core.structure import _pivots, _classify, _channel, _atr as _atr_win
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_MAXH = 96; _ATRMIN = 0.06; _COOL = 3; _LOOK = 220; _REG = 60
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def _atr_series(H, L, C, p=14):
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t = [0.0]
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for i in range(1, len(C)):
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t.append(max(H[i]-L[i], abs(H[i]-C[i-1]), abs(L[i]-C[i-1])))
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return [(sum(t[max(1, i-p+1):i+1])/max(1, len(t[max(1, i-p+1):i+1]))) if i else None
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for i in range(len(C))]
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def st(Rs):
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if not Rs: return None
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n = len(Rs); w = sum(1 for x in Rs if x > 0); s = sum(Rs)
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up = sum(x for x in Rs if x > 0); dn = -sum(x for x in Rs if x < 0)
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return dict(n=n, wr=100*w/n, oR=s/n, pf=(up/dn if dn > 0 else 9.99), sum=s)
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def line(lbl, s):
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if not s: return f" {lbl:<30} —"
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return (f" {lbl:<30} n={s['n']:>4} WR={s['wr']:>3.0f}% ØR={s['oR']:+.3f} "
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f"PF={s['pf']:>4.2f} ΣR={s['sum']:>+6.0f}")
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def sim(entry, d, atr, H, L, C, j0):
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eff = entry - d*2.0*atr; hw = entry
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end = min(j0+_MAXH, len(C)-1); exit_px = C[end]; exit_j = end
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for j in range(j0, end+1):
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hj, lj = H[j], L[j]
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if (lj <= eff) if d > 0 else (hj >= eff):
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return (eff-entry)*d/atr, j
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hw = max(hw, hj) if d > 0 else min(hw, lj)
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prof = (C[j]-entry)*d
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if prof >= 0.3*atr:
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cand = hw - d*1.5*atr
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if prof >= 1.3*atr: cand = max(cand, entry) if d > 0 else min(cand, entry)
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eff = max(eff, cand) if d > 0 else min(eff, cand)
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return (exit_px-entry)*d/atr, exit_j
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def _trend_from_swings(C, i):
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"""Swing-Trend (HH/HL→up, LH/LL→down) kausal über die letzten _LOOK Bars."""
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lo = max(0, i-_LOOK)
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piv = _pivots([0]*0 or None, None, 0) if False else None
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return None # (Platzhalter, in run() direkt mit H/L berechnet)
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def run(H, L, C, A, SP, lo, hi, rule, X):
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def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225)/atr
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Rs = []
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i = max(lo, _LOOK)
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prev_pos = None
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while i < hi:
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atr = A[i]
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if not atr or atr < _ATRMIN:
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i += 1; prev_pos = None; continue
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w0 = max(0, i-_REG+1)
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ch = _channel(C[w0:i+1], atr)
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if not ch:
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i += 1; prev_pos = None; continue
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pos = ch["pos"]; cdir = ch["dir"]
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d = 0
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if rule in ("A", "A2"):
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# frischer Eintritt ins untere (up) bzw. obere (down) Kanaldrittel
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if cdir == "up" and pos <= X and (prev_pos is None or prev_pos > X):
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d = 1
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elif cdir == "down" and pos >= 1-X and (prev_pos is None or prev_pos < 1-X):
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d = -1
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if d != 0 and rule == "A2":
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# zusätzlich Swing-Struktur bestätigen
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pl = _pivots(H[max(0, i-_LOOK):i+1], L[max(0, i-_LOOK):i+1], 3)
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lab = _classify(pl)
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recent = [x["type"] for x in lab[-4:]]
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ups = sum(1 for t in recent if t in ("HH", "HL"))
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dns = sum(1 for t in recent if t in ("LH", "LL"))
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strend = "up" if ups >= 3 and ups > dns else "down" if dns >= 3 and dns > ups else "range"
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if (d > 0 and strend != "up") or (d < 0 and strend != "down"):
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d = 0
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elif rule == "B":
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# frischer BOS in Kanalrichtung
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pl = _pivots(H[max(0, i-_LOOK):i+1], L[max(0, i-_LOOK):i+1], 3)
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lab = _classify(pl)
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from core.structure import _last_bos
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bos = _last_bos(lab, i+1-max(0, i-_LOOK))
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if bos and bos["bars_ago"] <= int(X): # X = max Bars seit BOS
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if bos["dir"] == "up" and cdir != "down": d = 1
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elif bos["dir"] == "down" and cdir != "up": d = -1
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prev_pos = pos
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if d == 0:
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i += 1; continue
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entry = C[i]
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r, xj = sim(entry, d, max(atr, _ATRMIN), H, L, C, i+1)
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Rs.append(r - cost(i, max(atr, _ATRMIN)))
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i = xj + _COOL; prev_pos = None
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return Rs
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def main():
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n = int(sys.argv[1]) if len(sys.argv) > 1 else 60000
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mt5.initialize()
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sym = next((c for c in ("SpotCrude", "USOIL", "WTI", "XTIUSD") if mt5.symbol_info(c)), None)
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bars = mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M30, 0, n)
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point = mt5.symbol_info(sym).point; mt5.shutdown()
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H = [float(b["high"]) for b in bars]; L = [float(b["low"]) for b in bars]
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C = [float(b["close"]) for b in bars]; SP = [float(b["spread"])*point for b in bars]
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A = _atr_series(H, L, C); N = len(C); mid = N//2
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print("="*90)
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print(f" Marktstruktur als SIGNAL — {sym} M30 ({N} Bars, seq. Sim, Live-Exit, Echtkosten)")
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print(f" Maßstab: Squeeze ØR +0,14…+0,23 & PF>1 in BEIDEN Hälften. Verdict = beidhälftig robust.")
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print("="*90)
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tests = [("A Kanal-Pullback X=0.20", "A", 0.20),
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("A Kanal-Pullback X=0.30", "A", 0.30),
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("A2 +Swing-Filter X=0.25", "A2", 0.25),
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("B BOS-Cont. ≤1 Bar", "B", 1),
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("B BOS-Cont. ≤3 Bars", "B", 3)]
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for lbl, rule, X in tests:
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s1 = st(run(H, L, C, A, SP, 0, mid, rule, X))
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s2 = st(run(H, L, C, A, SP, mid, N-_MAXH-1, rule, X))
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print(f"\n {lbl}:")
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print(line("H1 (alt)", s1))
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print(line("H2 (neu)", s2))
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ok = (s1 and s2 and s1['oR'] > 0 and s2['oR'] > 0 and s1['pf'] > 1 and s2['pf'] > 1)
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print(f" → {'ROBUST (beide Hälften positiv)' if ok else 'fällt durch (nicht beidseitig positiv)'}")
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print()
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if __name__ == "__main__":
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main()
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